It basically comes down to this - he's the bad guy for the sake of there being a bad guy. He's in the same vein as Nero from Star Trek.

Really? I thought Nero was a lot more interesting. He was a man with motivation and a plan.

He was also menacing, he destroyed armadas and he destroyed worlds and he stuck snails down Pike's throat. Contrast that to Malekith, who was going after a smoke that is to the colour red as Galactus is to white and Parallax is to yellow.